World War II is almost always said "World War Two", so by convention, World War I follows: "World War One".
As an interesting aside, Wikipedia notes:

The terms World War I and First World War both became standard (in the United States and Britain respectively) beginning in about 1940 to 1942; prior to that, it was most commonly called The Great War.

I have not heard "The Great War" outside of historical fiction. I have heard "the first world war," but not nearly as often as "World War One." In fact, I hear people say "double-u double-u one" about as often as "the first world war," if not in the same conversation/paper.

...In informal settings, I hear people go back and forth between what sound like "dubya dubya one" (or "dubloo...") and "were were one." It could just be something local. I've always taken it for granted. Who knows?
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kitukwfyerMar 28 '11 at 19:12

1

"The Great War" is largely a European usage. The term has fallen out of use since WW2.
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SatanicpuppyMar 28 '11 at 19:30

1

I have also heard w-w-one but I don't really suggest it as it takes longer to say than World War One and sounds funny.
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MrHenMar 28 '11 at 19:31

@MrHen: Sounds funny to YOU, mayhaps! :) Not disagreeing, though. World War One, or as we say "were were one" is definitely more common, easier to say, and alliterative to boot! "w-w-one" is still an option, though, and, IMHO, shouldn't be given short shrift because of whatever perceived inferiorities. In some cases, I prefer saying "w-w-one" to "world war one"... but that's just my personal preference.
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kitukwfyerMar 28 '11 at 23:00

WWI is an abbreviation for "World War One." You could alternatively say "the First World War" or "The Great War" (though that has been rare since WWII), but I would normally expect to see either of those versions written out in full. If the text says "WWI", reading out "the First World War" would not be reading what was written, though it might be a perfectly reasonable thing to do depending on the circumstances.

How is the second a misnomer and the first not?
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nicoMar 28 '11 at 18:26

@nico: It still sort of is, but the other world wars were not numbered. "First" is implying "this was the first world war." "World War I" strictly means "this World War has the number of I".
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MrHenMar 28 '11 at 18:29

@MrHen: Just out of curiosity, which other wars would you consider to be world wars?
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oosterwalMar 28 '11 at 18:39

@oosterwal: Wikipedia has a good list. The best examples would be the Napoleonic Wars and the Seven Years' War.
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MrHenMar 28 '11 at 18:44

Maybe we haven't really had a World War at all yet. I don't recall South America being much involved in the main contenders for the title thus far.
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FumbleFingersMar 28 '11 at 18:54